| 基于进化规划的多目标投资组合选择模型研究 |
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| 引用本文： | 周洪涛,费奇.基于进化规划的多目标投资组合选择模型研究[J].华中科技大学学报(自然科学版),2002,30(11):108-110. |
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| 作者姓名： | 周洪涛 费奇 |
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| 作者单位： | 华中科技大学系统工程研究所 |
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| 摘 要： | 在Markowitz的均值－方差模型的基础上，讨论了股票价格中偏度的重要性，并由此引出了一个同时考虑均值、方差和偏度的多目标投资组合选择模型。提出了对该模型进行求解的进化规划算法，同时也说明了用进化规划方法处理多目标优化问题的合理性。用一个算例验证了采用进化规划技术求解多目标投资组合选择模型是有效的。
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| 关 键 词： | 多目标投资组合选择模型 偏度 进化规划 均值－方差模型 股票价格 多目标优化 |
| 文章编号： | 1671-4512(2002)11-0108-03 |
| 修稿时间： | 2002年6月20日 |
Research on multiobjective portfolio selection model based on evolutionary programming |
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| Zhou Hongtao Fei Qi Doctoral Candidate, Inst. of System Eng.,Huazhong Univ. of Sci. & Tech.,Wuhan ,China..Research on multiobjective portfolio selection model based on evolutionary programming[J].JOURNAL OF HUAZHONG UNIVERSITY OF SCIENCE AND TECHNOLOGY.NATURE SCIENCE,2002,30(11):108-110. |
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| Authors: | Zhou Hongtao Fei Qi Doctoral Candidate Inst of System Eng Huazhong Univ of Sci & Tech Wuhan China |
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| Institution: | Zhou Hongtao Fei Qi Doctoral Candidate, Inst. of System Eng.,Huazhong Univ. of Sci. & Tech.,Wuhan 430074,China. |
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| Abstract: | This paper discussed the importance of the role of skewness in the pricing of stocks based on the mean variance model of Markowitz, and educed a multi objective portfolio selection model synchronously taking into account the mean, variance and skewness. The authors also put forward an evolutionary programming algorithm for this model, and explained that it is rational to deal with multi objective optimization problem with evolutionary programming technique. It is testified that it is valid to solve muti objective portfolio selection model with evolutionary programming technique in the light of an example |
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| Keywords: | multi objective portfolio selection model skewness evolutionary programming |
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